Ilze Kalnina

Works (4)

Updated: April 5th, 2024 11:22

2022 article

Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas


By: I. Kalnina n

author keywords: Market microstructure noise; Realized volatility; Subsampling
TL;DR: The subsampling method is used to study the dynamics of financial betas of six stocks on the NYSE, and it is found that tick data captures more variation in betas than the data sampled at moderate frequencies such as every five or twenty minutes. (via Semantic Scholar)
Source: Web Of Science
Added: April 18, 2022

2017 journal article

Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency

Journal of the American Statistical Association, 112(517), 384–396.

By: I. Kalnina* & D. Xiu*

author keywords: Derivatives; High-frequency data; Implied volatility; Spot correlation; VIX
Source: Crossref
Added: August 28, 2020

2011 journal article

Subsampling high frequency data

Journal of Econometrics, 161(2), 262–283.

By: I. Kalnina*

author keywords: Subsampling; Market microstructure noise; High frequency data; Realised volatility
Source: Crossref
Added: October 25, 2020

2008 journal article

Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error

Journal of Econometrics, 147(1), 47–59.

By: I. Kalnina* & O. Linton*

author keywords: Endogenous noise; Market microstucture; Realised volatility; Semimartingale
Source: Crossref
Added: August 28, 2020

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